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Showing 1 - 10 of 113 entries

  1. BLOG

    Managing Against MBS Indexes: A Duration Perspective 

    Jul 30, 2021

    Fixed Income , Risk Management

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    Mortgage-backed securities constitute a significant portion of fixed-income indexes. Managing MBS portfolios against these indexes depends heavily on an understanding of the dynamics of MBS duration, especially in volatile markets.

  2. BLOG

    Credit Strategies During the COVID-19 Crisis 

    Jul 27, 2021

    Fixed Income , Risk Management

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    Short-term credit spreads widened to a greater extent than long-term spreads during the March 2020 COVID-19 crisis. As a result, many U.S. corporate-issuer spread curves flattened or even inverted. What were the implications for corporate-bond investors?

  3. BLOG

    What Could a Rate Hike Mean for Portfolios? 

    Jul 22, 2021

    Fixed Income , Risk Management

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    Although the Federal Reserve may not begin raising rates anytime soon, U.S. and global markets are scrutinizing the Fed’s communications about the likely course of policy actions. We consider three scenarios for the timing of policy responses.

  4. BLOG

    Chinese RMBS: A Way to Diversify Fixed-Income Portfolios? 

    Jul 7, 2021

    Fixed Income

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    The market in Chinese residential mortgage-backed securities is growing, as global investors are eying the segment’s relatively high yield and potential for diversification, but seeking improved credit ratings and transparency in data and pricing.

  5. BLOG

    Securitized Products’ LIBOR Transition Picking Up Pace 

    Jun 22, 2021

    Fixed Income

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    In 2021, there has been significant progress in the transition from the LIBOR reference rate to its replacement, SOFR. But investors in securitized products are grappling with the challenge of the LIBOR-SOFR transition and its impact on their analytics.

  6. BLOG

    CDS Fading as a Measure of Value in Emerging Markets 

    Jun 17, 2021

    Fixed Income

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    Credit investors use spreads to compare relative value and risk. Studies of emerging-market sovereign debt have shown that credit-default swaps tended to be a better measure of value than spreads computed from bonds. But is it still the case?

  7. BLOG

    What Can Loan-Level Data Reveal About US Auto-Loan ABS? 

    Jun 15, 2021

    Fixed Income , Risk Management

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    U.S. regulators required issuers by Nov. 23, 2016, to disclose data on individual loans bundled into auto-loan asset-backed securities. We looked at whether incorporating loan-level data into our model could sharpen our analysis of this ABS segment.

  8. BLOG

    Why Is Climate-Transition Risk High in High Yield? 

    May 6, 2021 Bruno Rauis , Juan Sampieri , Andy Sparks

    ESG Research , Fixed Income , Risk Management

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    Investors increasingly focus on building greener portfolios. Some might expect bonds to be less exposed to climate-transition risk compared to equities, due to the seniority of bonds in the capital structure. But does that logic hold at the portfolio level?

  9. BLOG

    Could Investment Grade Be as Risky as High Yield? 

    Apr 16, 2021 András Bohák , Andras Rokob

    Fixed Income , Risk Management

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    Do high-yield and investment-grade bonds carry the same level of risk? For investors using common measures like value-at-risk models, IG- and HY-bond portfolios’ risk levels appear to have converged. But traditional models may miss important aspects of HY risk.

  10. BLOG

    Long-Horizon Risk: The Past 50 Years 

    Apr 13, 2021 Monika Szikszai , Thomas Verbraken

    Fixed Income , Risk Management

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    For long-horizon investors that aim to ride out volatility, short-term risk measures may be insufficient. We used multiperiod stress testing to evaluate one- and five-year returns of hypothetical multi-asset-class portfolios using 50 years of history.

Showing 1 - 10 of 113 entries